It remains unclear whether neurobiological dysfunction observed in major depressive disorder (MDD) and insomnia is an expression of common or independent bases. The present investigation sought to explore differences in heart rate variability (HRV)-a widely utilized biomarker of neurobiological functioning-among individuals with MDD, insomnia, and healthy controls, while awake and during distinct sleep stages (REM, N2), with the goal of improving our understanding of shared neurobiological factors in depression and insomnia. Participants were 73 adults who underwent home polysomnography. All N2 and REM sleep epochs with a duration greater than or equal to 5 min were identified for HRV analysis. Additionally, a single waking epoch was defined for each participant. From waking to N2 sleep, and waking to REM sleep, changes in HRV indices indicated participants experienced reductions in sympathetic arousal and increases in parasympathetic arousal. Contrary to hypotheses, however, no between group differences were observed in HRV. Though the present findings do not support the hypotheses of a shard neurobiological pathway between MDD and insomnia, more work is warranted to advance our understanding of the neurobiological bases of these common, debilitating, and frequently co-occurring psychiatric conditions, to improve early detection and identify novel intervention targets for these disorders.